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非交易资产的无套利定价

IF 0.8 Q4 BUSINESS, FINANCE
Annals of Finance Pub Date : 2023-08-01 DOI:10.1007/s10436-023-00434-1
Robert A. Jarrow
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引用次数: 1

摘要

本文展示了如何在无摩擦的市场环境中使用无套利对非交易资产进行唯一定价。该方法需要假设套期保值错误，正确定义，是非定价或特殊风险。这种方法可以应用于私人贷款、非流动性公开交易债务、保险合同、私募股权、房地产和实物期权。
本文章由计算机程序翻译，如有差异，请以英文原文为准。
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The no-arbitrage pricing of non-traded assets

This paper shows how to uniquely price non-traded assets using no-arbitrage in an otherwise frictionless market setting. The approach requires the assumption that the hedging error, properly defined, is non-priced or idiosyncratic risk. This methodology can be applied to private loans, illiquid publicly traded debt, insurance contacts, private equity, real estate, and real options.

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来源期刊
Annals of Finance
Annals of Finance BUSINESS, FINANCE-
CiteScore
2.00
自引率
10.00%
发文量
15
期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance
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